Last updated February, 3 2014 581.217 documents processed, 14.657.417 references and 5.549.674 citations

Journal of Time Series Econometrics / De Gruyter

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.08000000.04
19910.08000000.04
19920.08000000.04
19930.09000000.05
19940.1000000.04
19950.19000000.07
19960.23000000.09
19970.29000000.1
19980.29000000.11
19990.33000000.14
20000.42000000.16
20010.44010000.17
20020.44000000.19
20030.46000000.2
20040.53000000.22
20050.56000000.23
20060.53000000.22
20070.46000000.19
20080.49020000.21
20090.58810.13210010.130.2
20100.750.4681670.4448600.16
20110.190.572238120.3247163080.360.22
20120.60.66947240.514301800.26
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Most cited documents in this series:

YearTitleCited
2011Evaluating Automatic Model Selection. (2011). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:8.

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21
2011Noncausal Autoregressions for Economic Time Series. (2011). Saikkonen, Pentti ; Lanne, Markku. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:2.

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11
2009Asymptotics of the QMLE for Non-Linear ARCH Models. (2009). Rahbek, Anders ; Kristensen, Dennis. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:2.

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9
2009Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities. (2009). Carrion-i-Silvestre, Josep ; Basher, Syed ; Josep Lluis Carrion-i-Silvestre, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:3.

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6
2011Econometric Modelling of Time Series with Outlying Observations. (2011). Mizon, Grayham ; Hendry, David. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:6.

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6
2011Estimation and Inference in Time Series with Omitted I(1) Variables. (2011). Everaert, Gerdie. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:2.

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3
2009Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes. (2009). Demetrescu, Matei. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:2:n:3.

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3
2011Consideration of Trends in Time Series. (2011). White, Halbert ; Granger, Clive ; Clive W. J. Granger, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:2.

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3
2011Some New Results for Threshold AR(1) Models. (2011). Knight, John ; Satchell, Stephen . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:2:n:1.

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2
2011Detecting Common Dynamics in Transitory Components. (2011). pagan, adrian ; Hurn, Stan ; Christensen, Timothy . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:3.

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2
2012Testing for Structural Change in Heterogeneous Panels with an Application to the Euros Trade Effect. (2012). Pauwels, Laurent ; Chan, Felix. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:3.

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2
2009Selecting Instrumental Variables in a Data Rich Environment. (2009). Ng, Serena ; Bai, Jushan. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:4.

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2
2012First Stage Estimation of Fractional Cointegration. (2012). Iacone, Fabrizio ; Hualde, Javier . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:4:y:2012:i:1:n:2.

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2
2011Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index. (2011). Xu, Fang ; Lütkepohl, Helmut ; Luetkepohl, Helmut . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:7.

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2
2011On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance. (2011). Perron, Pierre ; Ren, Linxia . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:1.

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1
2011Nonparametric Tests for Periodic Integration. (2011). Osborn, Denise ; del Barrio Castro, Tomás ; Tomás del Barrio Castro, . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:4.

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1
2013Asymptotic Theory for Regressions with Smoothly Changing Parameters. (2013). Eric, Hillebrand ; Junyue, Xu ; Medeiros Marcelo C., . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:5:y:2013:i:2:p:133-162:n:3.

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1
2010Has the Volatility of U.S. Inflation Changed and How?. (2010). Proietti, Tommaso ; Grassi, Stefano. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:6.

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1
2009The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series. (2009). Vogelsang, Timothy ; Schmidt, Peter ; Amsler, Christine. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:5.

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1
2010A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels. (2010). Miller, J.. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:5.

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1
2010Signal Extraction Revision Variances as a Goodness-of-Fit Measure. (2010). McElroy, Tucker ; Wildi, Marc . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:4.

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1
2011Testing for a Deterministic Trend When There is Evidence of Unit Root. (2011). Ventosa-Santaulària, Daniel ; Gómez-Zaldívar, Manuel ; Ventosa-Santaulria, Daniel ; Gmez-Zaldvar, Manuel . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2011:i:2:n:3.

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1
2010Testing Unit Root Based on Partially Adaptive Estimation. (2010). Xiao, Zhijie ; Lima, Luiz. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:2.

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1

Citing documents used to compute impact factor 18:

YearTitleSee
2012A Panel Analysis of the Fisher Effect with an Unobserved I(1) World Real Interest Rate. (2012). EVERAERT, G.. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:12/782.

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[Citation Analysis]
2012Forecasting from Structural Econometric Models. (2012). Mizon, Grayham ; Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:597.

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[Citation Analysis]
2012Unit roots, nonlinearities and structural breaks. (2012). Teräsvirta, Timo ; Kruse, Robinson ; Haldrup, Niels ; TERaSVIRTA, Timo ; Varneskov, Rasmus T.. In: CREATES Research Papers. RePEc:aah:create:2012-14.

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[Citation Analysis]
2012A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data. (2012). Issler, João ; Hecq, Alain ; Joo, Victor Issler . In: Research Memoranda. RePEc:dgr:umamet:2012006.

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[Citation Analysis]
2012A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data. (2012). Issler, João ; Hecq, Alain. In: Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:728.

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[Citation Analysis]
2012Model Discovery and Trygve Haavelmos Legacy. (2012). Johansen, Soren ; Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:598.

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[Citation Analysis]
2012Forecasting by factors, by variables, or both?. (2012). Hendry, David ; Clements, Michael ; Castle, Jennifer. In: Economics Series Working Papers. RePEc:oxf:wpaper:600.

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[Citation Analysis]
2012Mis-specification Testing: Non-Invariance of Expectations Models of Inflation. (2012). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer ; Nymoen, Ragnar . In: Working Paper Series. RePEc:rim:rimwps:50_12.

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[Citation Analysis]
2012Model Selection in Equations with Many Small Effects. (2012). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Working Paper Series. RePEc:rim:rimwps:53_12.

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[Citation Analysis]
2012Model selection when there are multiple breaks. (2012). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Journal of Econometrics. RePEc:eee:econom:v:169:y:2012:i:2:p:239-246.

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[Citation Analysis]
2012Testing for predictability in a noninvertible ARMA model. (2012). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: MPRA Paper. RePEc:pra:mprapa:37151.

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[Citation Analysis]
2012Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs. (2012). Ricco, Giovanni ; Ellahie, Atif. In: MPRA Paper. RePEc:pra:mprapa:42105.

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[Citation Analysis]
2012Forecasting with a noncausal VAR model. (2012). Saikkonen, Pentti ; Nyberg, Henri. In: Research Discussion Papers. RePEc:hhs:bofrdp:2012_033.

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[Citation Analysis]
2012Optimal forecasting of noncausal autoregressive time series. (2012). Saikkonen, Pentti ; Luoto, Jani ; Lanne, Markku. In: International Journal of Forecasting. RePEc:eee:intfor:v:28:y:2012:i:3:p:623-631.

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[Citation Analysis]
2012Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications. (2012). Knight, John ; Satchell, Stephen ; Srivastava, Nandini . In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1208.

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[Citation Analysis]
2012Nonlinearity and smoothing in venture capital performance data. (2012). McKenzie, Michael ; Wongwachara, Warapong ; Satchell, Stephen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:5:p:782-795.

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[Citation Analysis]
2012IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance. (2012). Demetrescu, Matei ; Tarcolea, Adina ; Hanck, Christoph . In: Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century. RePEc:zbw:vfsc12:62072.

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[Citation Analysis]
2012Trends and random walks in macroeconomic time series: A reappraisal. (2012). Darné, Olivier ; Charles, Amlie . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:34:y:2012:i:1:p:167-180.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2012

YearTitleSee

Recent citations received in: 2011

YearTitleSee
2011The Properties of Model Selection when Retaining Theory Variables. (2011). Johansen, Soren ; Hendry, David. In: CREATES Research Papers. RePEc:aah:create:2011-36.

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[Citation Analysis]
2011Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates. (2011). Reed, W. ; Castle, Jennifer ; Qin, Xiaochuan . In: Working Papers in Economics. RePEc:cbt:econwp:11/03.

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[Citation Analysis]
2011Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects. (2011). Su, Liangjun ; Phillips, Peter ; Zhang, Yonghui ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1832.

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[Citation Analysis]
2011Revenue Elasticity of the Main federal Taxes in Mexico. (2011). Ventosa-Santaulària, Daniel ; Fonseca-Hernández, Felipe ; Ventosa-Santaularia, Daniel ; Fonseca-Hernández, Felipe. In: Latin American Journal of Economics-formerly Cuadernos de Economía. RePEc:ioe:cuadec:v:48:y:2011:i:1:p:89-111.

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[Citation Analysis]
2011The Properties of Model Selection when Retaining Theory Variables. (2011). Johansen, Soren ; Hendry, David. In: Discussion Papers. RePEc:kud:kuiedp:1125.

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[Citation Analysis]
2011Anthropogenic Influences on Atmospheric CO2. (2011). Hendry, David ; Pretis, Felix . In: Economics Series Working Papers. RePEc:oxf:wpaper:584.

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[Citation Analysis]
2011Does the Box-Cox transformation help in forecasting macroeconomic time series?. (2011). Proietti, Tommaso ; Lütkepohl, Helmut. In: MPRA Paper. RePEc:pra:mprapa:32294.

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[Citation Analysis]
2011Foundational Issues in Statistical Modeling: Statistical Model Specification and Validation. (2011). Spanos, Aris. In: Rationality, Markets and Morals. RePEc:rmm:journl:v:2:y:2011:i:47.

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[Citation Analysis]

Recent citations received in: 2010

YearTitleSee

Recent citations received in: 2009

YearTitleSee
2009Panel unit root testing and the martingale difference hypothesis for German stocks. (2009). Demetrescu, Matei. In: Economics Bulletin. RePEc:ebl:ecbull:eb-09-00155.

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[Citation Analysis]

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.